More by Michael Woodroofe

Abstract

Central limit theorems and invariance principles are obtained for
additive functionals of a stationary ergodic Markov chain, say
$S_n = g(X_1)+ \cdots + g(X_n)$ where $E[g(X_1)]= 0$ and
$E[g(X_1)^2]<\infty$. The
conditions imposed restrict the moments of $g$ and the growth of the
conditional means $E(S_n|X_1)$. No other restrictions on the dependence
structure of the chain are required. When specialized to shift processes,the
conditions are implied by simple integral tests involving $g$.